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Intraday Order Book tick data


Hello there

I am recording full order book tick data for quite a few big exchanges. every message like every new order coming in or cancelled, or any execution.

Thats a hell lot of data, Im storing it on the cloud also with our proprietary timestamp (ie at the time we really get the information).

I think this data could be very valuable for anyone interested in backtesting HFT algos or doing any kind of data analysis.

It took quite a lot of time to make it run but i believe now its is recording smoothly, there are less and less incidents and data loss. last week we managed to record 99% of the data of the exchanges we’re looking at.

1) i’m looking to sell this data to anyone who’s interested

2) i’m happy to share SOME of the data to anyone volunteering to develop some tools on it (it can be data visualization, simple stats, or HFT algos)

PM me if any interest.

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8 thoughts on “Intraday Order Book tick data

  1. flowrye

    For me as a non-developer, just someone interested in this topic, can you explain how one would go through the process of getting data for e.g bitfinex?

  2. ncens

    Respectfully, I am not sure why OP is trying to sell one week’s worth of data. For someone who has the capability to trade orderbook dynamics, obviously already has a set up in place for retrieving tick data themselves (they have to wait a week for outsample testing anyway). If it was several months of tick data, that would have been something to pay for.

    PS: There’s no HFT in crypto. The best we’ve got right now is multi-millisecond latency and that’s not exactly HFT.


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